Will LMS always be convex function? If yes, then why do we change it for neural networks?
Square loss is fine for regression, since minimizing it is the same as maximizing the likelihood of the model parameters (under assumption that the error is Gaussian). However, if the model directly produces probabilities, then it is natural to use these probabilities directly within the loss. Hence, in all classification models we prefer to minimize negative log-likelihood of the correct class.

Note that choosing a natural loss leads to several practical advantages. In particular, applying a quadratic loss after a sigmoid activation leads to very poor gradients when the sigmoid is saturated in the wrong direction. The negative log-likelihood loss has no such problems.

This issue is not specific for neural networks. Logistic regression has used the negative log likelihood loss ever since 1958.